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HUAMANI MUNIVE, DARIN DENNIS

ORTEGA RICRA, FERGIE ELEONOR

PINZAS ESPINOZA, EDUARDO ALONSO

Black-Scholes Worksheet for Foreign Currency Opt

(the User must change the yellow in

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric ### 2.02%

Strike price (same units as Spot) 3.6254

volatility (annualized) 7.06% Put Price ### 1.93%

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the s

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0715 0.0685 The units are the same as the ex

Delta 0.5123 -0.4789 Derivative of price wrt spot rate

Vega 0.0099 0.0099 Derivative of price wrt volatility

Gamma 2.2307 2.2307 Derivative of delta wrt spot rate

Theta 0.0004 0.0000 Derivative of price wrt time meas

Rho domestic 0.0087 -0.0088 Derivative of price wrt to the dom

Rho foreign -0.0091 0.0085 Derivativeof price wrt to the fore

Omega or Lambda 25.4092 -24.8044 Elasticity of option price wrt the s

Vanna 0.0004 0.0004 Derivative of delta wrt volatility

Required Expressions

Black-Scholes D1 0.0422

Black-Scholes D2 -0.0077

Cumulative Normal(D1) 0.5169

Cumulative Normal(D2) 0.4969

Normal PDF(D1) 0.3986

Normal PDF(D2) 0.3989

Cumulative Normal(-D1) 0.4831

Cumulative Normal(-D2) 0.5031

Foreign Currency Options

t change the yellow inputs)

as a % of spot

7.061%

ues associated with the specific amounts have the same units as the exchange rate.

2,000 amount of underlying

Call Put

s are the same as the exchange rate 143.07 137.01 Cost of position

ve of price wrt spot rate 1,024.70 -957.88 per 1 unit change in spot

ve of price wrt volatility 19.82 19.82 per change in Vol of 1% p.a

ve of delta wrt spot rate 4,461.39 4,461.39 per 1 unit change in spot

ve of price wrt time measured in days 0.81 -0.06 per 1 day increase

ve of price wrt to the domestic interest rate 17.46 -17.68 per change in i(DC) of 100

veof price wrt to the foreign interest rate -18.18 16.99 per change in i(FC) of 100 b

y of option price wrt the spot rate 36.35 -33.98 per 1% change in Spot

ve of delta wrt volatility 0.87 0.87 per change in Vol of 1% p.a

amount of underlying

Cost of position

per 1 unit change in spot

per change in Vol of 1% p.a.

per 1 unit change in spot

per 1 day increase

per change in i(DC) of 100 bp

per change in i(FC) of 100 bp

per 1% change in Spot

per change in Vol of 1% p.a.

Black-Scholes Worksheet for Foreign Currency Opt

Inputs

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Price

Strike price (same units as Spot) 3.6254

volatility (annualized) 5.74% Put Price

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0585 0.0554

Delta 0.5121 -0.4792

Vega 0.0099 0.0099

Gamma 2.7432 2.7432

Theta 0.0004 -0.0001

Rho domestic 0.0088 -0.0088

Rho foreign -0.0091 0.0085

Omega or Lambda 31.0741 -30.6717

Vanna -0.0001 -0.0001

Required Expressions

Black-Scholes D1 0.0416

Black-Scholes D2 0.0010

Cumulative Normal(D1) 0.5166

Cumulative Normal(D2) 0.5004

Normal PDF(D1) 0.3986

Normal PDF(D2) 0.3989

Cumulative Normal(-D1) 0.4834

Cumulative Normal(-D2) 0.4996

choles Worksheet for Foreign Currency Options

(the User must change the yellow inputs)

Tasa Banco PPK

5.74%

Outputs as a % of spot

0.0585 1.65%

0.0554 1.56%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

ut Option

The units are the same as the exchange rate

Derivative of price wrt spot rate

Derivative of price wrt volatility

Derivative of delta wrt spot rate

Derivative of price wrt time measured in days

Derivative of price wrt to the domestic interest rate

Derivativeof price wrt to the foreign interest rate

Elasticity of option price wrt the spot rate

Derivative of delta wrt volatility

Tasa Banco PPK 2.14%

2,000 amount of underlying

Call Put

the exchange rate 116.93 110.86 Cost of position

1,024.15 -958.43 per 1 unit change in spot

19.82 19.82 per change in Vol of 1% p.a

5,486.30 5,486.30 per 1 unit change in spot

e measured in days 0.74 -0.13 per 1 day increase

he domestic interest rate 17.58 -17.56 per change in i(DC) of 100

he foreign interest rate -18.17 17.00 per change in i(FC) of 100 b

rt the spot rate 36.33 -34.00 per 1% change in Spot

-0.13 -0.13 per change in Vol of 1% p.a

amount of underlying

Cost of position

per 1 unit change in spot

per change in Vol of 1% p.a.

per 1 unit change in spot

per 1 day increase

per change in i(DC) of 100 bp

per change in i(FC) of 100 bp

per 1% change in Spot

per change in Vol of 1% p.a.

Black-Scholes Worksheet for Foreign Currency Opt

Inputs

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric

Strike price (same units as Spot) 3.6254

volatility (annualized) 3.29% Put Price

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the s

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0342 0.0311

Delta 0.5149 -0.4764

Vega 0.0099 0.0099

Gamma 4.7858 4.7858

Theta 0.0003 -0.0001

Rho domestic 0.0090 -0.0086

Rho foreign -0.0091 0.0085

Omega or Lambda 53.4702 -54.2907

Vanna -0.0031 -0.0031

Required Expressions

Black-Scholes D1 0.0487

Black-Scholes D2 0.0255

Cumulative Normal(D1) 0.5194

Cumulative Normal(D2) 0.5102

Normal PDF(D1) 0.3985

Normal PDF(D2) 0.3988

Cumulative Normal(-D1) 0.4806

Cumulative Normal(-D2) 0.4898

-Scholes Worksheet for Foreign Currency Options

(the User must change the yellow inputs)

Tasa Banco PPK

a anualizada

Outputs as a % of spot

0.0342 0.96%

0.0311 0.88%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option

The units are the same as the exchange rate

Derivative of price wrt spot rate

Derivative of price wrt volatility

Derivative of delta wrt spot rate

Derivative of price wrt time measured in days

Derivative of price wrt to the domestic interest rate

Derivativeof price wrt to the foreign interest rate

Elasticity of option price wrt the spot rate

Derivative of delta wrt volatility

Tasa Banco PPK 2.14%

2,000 amount of underlying

Call Put

the exchange rate 68.33 62.26 Cost of position

1,029.82 -952.76 per 1 unit change in s

19.82 19.82 per change in Vol of 1

9,571.59 9,571.59 per 1 unit change in s

e measured in days 0.62 -0.25 per 1 day increase

he domestic interest rate 17.93 -17.21 per change in i(DC) o

he foreign interest rate -18.27 16.90 per change in i(FC) of

rt the spot rate 36.54 -33.80 per 1% change in Spo

-6.22 -6.22 per change in Vol of 1

amount of underlying

Cost of position

per 1 unit change in spot

per change in Vol of 1% p.a.

per 1 unit change in spot

per 1 day increase

per change in i(DC) of 100 bp

per change in i(FC) of 100 bp

per 1% change in Spot

per change in Vol of 1% p.a.

Black-Scholes Worksheet for Foreign Currency Opt

Inputs

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Price

Strike price (same units as Spot) 3.6254

volatility (annualized) 2.34% Put Price

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the s

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0247 0.0217

Delta 0.5196 -0.4717

Vega 0.0099 0.0099

Gamma 6.7388 6.7388

Theta 0.0003 -0.0001

Rho domestic 0.0091 -0.0085

Rho foreign -0.0092 0.0084

Omega or Lambda 74.6166 -77.2306

Vanna -0.0076 -0.0076

Required Expressions

Black-Scholes D1 0.0605

Black-Scholes D2 0.0440

Cumulative Normal(D1) 0.5241

Cumulative Normal(D2) 0.5176

Normal PDF(D1) 0.3982

Normal PDF(D2) 0.3986

Cumulative Normal(-D1) 0.4759

Cumulative Normal(-D2) 0.4824

-Scholes Worksheet for Foreign Currency Options

(the User must change the yellow inputs)

Tasa Banco PPK

Outputs as a % of spot

0.0247 0.70%

0.0217 0.61%

The option prices and values associated with the specific amounts have the same units as the exchange rate.

Put Option

The units are the same as the exchange rate

Derivative of price wrt spot rate

Derivative of price wrt volatility

Derivative of delta wrt spot rate

Derivative of price wrt time measured in days

Derivative of price wrt to the domestic interest rate

Derivativeof price wrt to the foreign interest rate

Elasticity of option price wrt the spot rate

Derivative of delta wrt volatility

Tasa Banco PPK 2.14%

2,000 amount of underlying

Call Put

the exchange rate 49.41 43.34 Cost of position

1,039.13 -943.44 per 1 unit change in spot

19.81 19.81 per change in Vol of 1% p.

13,477.63 13,477.63 per 1 unit change in spot

e measured in days 0.57 -0.29 per 1 day increase

he domestic interest rate 18.19 -16.95 per change in i(DC) of 100

he foreign interest rate -18.43 16.74 per change in i(FC) of 100

rt the spot rate 36.87 -33.47 per 1% change in Spot

-15.15 -15.15 per change in Vol of 1% p.

amount of underlying

per 1 unit change in spot

per change in Vol of 1% p.a.

per 1 unit change in spot

per 1 day increase

per change in i(DC) of 100 bp

per change in i(FC) of 100 bp

per 1% change in Spot

per change in Vol of 1% p.a.

Black-Scholes Worksheet for Foreign Currency Opt

Valuamos la Put larga del Zero cost collar bajo los parametros del banco PPK

Inputs

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric

Strike price (same units as Spot) 3.5891

volatility (annualized) 7.50% Put Price

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the s

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0947 0.0565

Delta 0.5868 -0.4045

Vega 0.0097 0.0097

Gamma 2.0458 2.0458

Theta 0.0004 0.0000

Rho domestic 0.0099 -0.0075

Rho foreign -0.0104 0.0072

Omega or Lambda 21.9906 -25.4223

Vanna -0.0094 -0.0094

Required Expressions

Black-Scholes D1 0.2325

Black-Scholes D2 0.1795

Cumulative Normal(D1) 0.5919

Cumulative Normal(D2) 0.5712

Normal PDF(D1) 0.3883

Normal PDF(D2) 0.3926

Cumulative Normal(-D1) 0.4081

Cumulative Normal(-D2) 0.4288

-Scholes Worksheet for Foreign Currency Options

(the User must change the yellow inputs)

Outputs as a % of spot

0.0947 2.67%

0.0565 1.59%

Put Option

The units are the same as the exchange rate

Derivative of price wrt spot rate

Derivative of price wrt volatility

Derivative of delta wrt spot rate

Derivative of price wrt time measured in days

Derivative of price wrt to the domestic interest ra

Derivativeof price wrt to the foreign interest rate

Elasticity of option price wrt the spot rate

Derivative of delta wrt volatility

its as the exchange rate.

2,000 amount of underlying

Call Put

189.33 112.90 Cost of position

1,173.57 -809.01 per 1 unit change in spot

19.31 19.31 per change in Vol of 1% p.a.

4,091.59 4,091.59 per 1 unit change in spot

0.88 0.02 per 1 day increase

19.87 -14.92 per change in i(DC) of 100 bp

-20.82 14.35 per change in i(FC) of 100 bp

41.64 -28.70 per 1% change in Spot

-18.75 -18.75 per change in Vol of 1% p.a.

Black-Scholes Worksheet for Foreign Currency Opt

Valuamos la Call Corta del Zero cost collar bajo los parametros del banco PPK

Inputs

Spot rate (DC/FC e.g. USD/EUR) 3.5478 Call Pric

Strike price (same units as Spot) 3.7342

volatility (annualized) 7.50% Put Price

domestic interest rate (annualiz 6.25%

foreign interest rate (annualized 1.75% The option prices and values associated with the s

time to maturity in days 180

time to maturity in years 0.50

Option Prices 0.0351 0.1375

Delta 0.3007 -0.6906

Vega 0.0087 0.0087

Gamma 1.8410 1.8410

Theta 0.0003 -0.0001

Rho domestic 0.0052 -0.0129

Rho foreign -0.0053 0.0123

Omega or Lambda 30.4261 -17.8205

Vanna 0.0267 0.0267

Required Expressions

Black-Scholes D1 -0.5148

Black-Scholes D2 -0.5678

Cumulative Normal(D1) 0.3034

Cumulative Normal(D2) 0.2851

Normal PDF(D1) 0.3494

Normal PDF(D2) 0.3395

Cumulative Normal(-D1) 0.6966

Cumulative Normal(-D2) 0.7149

-Scholes Worksheet for Foreign Currency Options

(the User must change the yellow inputs)

Outputs as a % of spot

0.0351 0.99%

0.1375 3.88%

Put Option

The units are the same as the exchange rate

Derivative of price wrt spot rate

Derivative of price wrt volatility

Derivative of delta wrt spot rate

Derivative of price wrt time measured in days

Derivative of price wrt to the domestic interest rate

Derivativeof price wrt to the foreign interest rate

Elasticity of option price wrt the spot rate

Derivative of delta wrt volatility

La Ganancia del banco PPK por esta operacin, proviene del difere

Zero Cost Collar

Prima

Call Corta 0.0350645032

Put Larga 0.0564502366

0.0214

he same units as the exchange rate.

2,000 amount of underlying

Call Put

he exchange rate 70.13 274.97 Cost of position

601.43 -1,381.15 per 1 unit change in spot

17.38 17.38 per change in Vol of 1% p.a

3,682.08 3,682.08 per 1 unit change in spot

measured in days 0.61 -0.29 per 1 day increase

e domestic interest rate 10.32 -25.87 per change in i(DC) of 100

e foreign interest rate -10.67 24.50 per change in i(FC) of 100 b

the spot rate 21.34 -49.00 per 1% change in Spot

53.37 53.37 per change in Vol of 1% p.a

Cost Collar

Como % spot

0.99%

1.59%

0.60%

amount of underlying

Cost of position

per 1 unit change in spot

per change in Vol of 1% p.a.

per 1 unit change in spot

per 1 day increase

per change in i(DC) of 100 bp

per change in i(FC) of 100 bp

per 1% change in Spot

per change in Vol of 1% p.a.

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